| 概率约束随机规划的一种近似方法及其它的有效解模式 |
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| 引用本文： | 万仲平,吴国民.概率约束随机规划的一种近似方法及其它的有效解模式[J].运筹学学报,2002,6(3):35-41. |
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| 作者姓名： | 万仲平 吴国民 |
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| 作者单位： | 1. 武汉大学数学与统计学院,武汉,430072
2. 北京石油化工学院数理部,北京,102600 |
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| 摘 要： | 根据最小风险的投资最优问题，我们给出了一个统一的概率约束随机规划模型。随后我们提出了求解这类概率约束随机规划的一种近似算法，并在一定的条件下证明了算法的收敛性。此外，提出了这种具有概率约束多目标随机规划问题的一种有效解模型。
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| 关 键 词： | 有效解模式 近似方法 随机规划 概率约束 多目标 收敛性 |
An Approximation Method for Probabilistic Constrained Programming and its Efficiency Solution Scheme |
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| ZHONGPING WAN.An Approximation Method for Probabilistic Constrained Programming and its Efficiency Solution Scheme[J].OR Transactions,2002,6(3):35-41. |
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| Authors: | ZHONGPING WAN |
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| Abstract: | According to the optimal investment model with minimum-risky, we give a united stochastic programming with probabilistic constrained. And then, we present an approximation method for solving this probabilistic constrained stochastic programming, and prove certain convergence of the method under some conditions. In addition, the efficiency solution scheme of this problem is given, after the multiple objective stochastic programming with probabilistic constrained is discussed. |
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| Keywords: | approximation method stochastic programming probabilistic con- strained multiple objective convergence |
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